构造正Theta组合

在常规期权定价框架下，单个多头期权（看涨或看跌）通常 Theta 为负；对应的空头期权 Theta 为正。

因此最直接的正 Theta 组合是卖出期权，例如：

• 卖出跨式（short straddle）：卖出同执行价同到期的看涨与看跌；
• 或卖出宽跨式（short strangle）。

若希望降低方向暴露，可再用标的做 Delta 对冲，使组合近似 Delta 中性但仍保留正 Theta（同时会承担 Gamma/尾部风险）。

---

英文解析

Under the regular option pricing framework, a single * * long * * option (bullish or bearish) is usually negative for Theta; the corresponding * * short * * option Theta is positive.

So the most straightforward positive Theta combination is to sell the option, for example:

• Sell straddle (short straddle): sell bullish and bearish with the same maturity as the strike price;
• Or sell short strangle.

If you want to reduce the directional exposure, you can use the target to do Delta hedging, so that the combination is similar to Delta neutral but still retains the positive Theta (at the same time, it will take the Gamma/tail risk).